Paranaguá Spot | Chicago futures | Rotterdam | Overall model | |||
Variable | Coeff. | Std. Error | Coeff. | Std. Error | Coeff. | Std. Error |
Above Threshold | −0.35 | 0.07 | −0.27 | 0.09 | −0.30 | 0.07 |
Below Threshold | −0.33 | 0.09 | −0.37 | 0.10 | −0.38 | 0.08 |
Differenced Residuals (t − 1) | 0.43 | 0.08 | 0.14 | 0.09 | 0.41 | 0.08 |
Differenced Residuals (t − 2) | 0.16 | 0.09 | 0.03 | 0.09 | 0.24 | 0.09 |
Threshold value (tau): | 0.00 |
| 0.00 |
| 0.00 |
|
F-equal: | 0.04 | 2.88 | 0.54 | 2.83 | 0.7 | 2.22 |
T-max value: | −3.57 | −2.11 | −3.03 | −2.12 | −4.53 | −2.43 |
F-joint (Phi): | 17.21 | 5.83 | 9.68 | 5.99 | 19.29 | 7.24 |